Lp-Solution to the Random Linear Delay Differential Equation with a Stochastic Forcing Term

Abstract

This paper aims at extending a previous contribution dealing with the random autonomous-homogeneous linear differential equation with discrete delay τ > 0 , by adding a random forcing term f ( t ) that varies with time: x ′ ( t ) = a x ( t ) + b x ( t − τ ) + f ( t ) , t ≥ 0 , with initial condition x ( t ) = g ( t ) , − τ ≤ t ≤ 0 . The coefficients a and b are assumed to be random variables, while the forcing term f ( t ) and the initial condition g ( t ) are stochastic processes on their respective time domains. The equation is regarded in the Lebesgue space L p of random variables with finite p-th moment. The deterministic solution constructed with the method of steps and the method of variation of constants, which involves the delayed exponential function, is proved to be an L p -solution, under certain assumptions on the random data. This proof requires the extension of the deterministic Leibniz’s integral rule for differentiation to the random scenario. Finally, we also prove that, when the delay τ tends to 0, the random delay equation tends in L p to a random equation with no delay. Numerical experiments illustrate how our methodology permits determining the main statistics of the solution process, thereby allowing for uncertainty quantification.